Shadow banks were one of the main contributors to the financial crisis of 2007-08. Due to their contribution to increase in systemic risk during the financial crisis they have been researched in the time period of the financial crisis in the USA to find the reason behind the increase in systemic risk from shadow banks. Because of the contribution to systemic risk from shadow banks post financial crisis have largely been ignored, especially in Europe. This leads to the main research question of this paper, “Does shadow banking affect systemic risk?” In this paper a ΔCoVaR method is used to measure the systemic risk contribution from shadow banks as well as traditional banks in the EU post financial crisis. CoVaR and VaR is also measured in order to give a better understanding of the systemic risk contribution from the banking sector. The main results of this paper is that the variable Size which is the total assets, is the factor that increases the systemic risk contribution from traditional banks, which means that the bigger the traditional bank, the bigger their contribution to systemic risk. In the case of shadow banks the variables Total assets, movement to the market and Equity returns volatility, are the contributors to increase in systemic risk. The higher these variables are for the shadow banks, the higher is their contribution to systemic risk. The conclusion of this paper is that the increase in regulations have helped in decreasing the systemic risk contributions from shadow banks and traditional banks but it is not enough. There is a need for more regulations in order to decrease the systemic risk from the banking sector as they still affect systemic risk.
| Identifer | oai:union.ndltd.org:UPSALLA1/oai:DiVA.org:lnu-130483 |
| Date | January 2024 |
| Creators | Delawar, Saidomar, Sagi, Anton |
| Publisher | Linnéuniversitetet, Institutionen för management (MAN) |
| Source Sets | DiVA Archive at Upsalla University |
| Language | English |
| Detected Language | English |
| Type | Student thesis, info:eu-repo/semantics/bachelorThesis, text |
| Format | application/pdf, application/pdf |
| Rights | info:eu-repo/semantics/openAccess, info:eu-repo/semantics/openAccess |
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